The correct pronunciation is ко́лледж.

Colleges in Russia are not necessarily lower in level than universities, but usually rather vocational or field-specific, many times even belonging to universities. This includes music colleges (в общем "музыкальные колледжи" или "высшие музыкальные учебные заведения"). There are a number of such schools in Russia, and many are, indeed, called conservatories.

As for sports academies/universities with international standards, one example is Российский государственный университет физической культуры, спорта, молодёжи и туризма (ГЦОЛИФК).